| dc.description.abstract | This research aims to test whether the trading volume of warrants is predictive and directional to the underlying stock price. After subdividing call warrants and put warrants into buy call warrants, sell call warrants, buy call warrants, and sell call warrants, this study found that the volume of buying call warrants, the volume of net call warrant, and the total volume of call warrants all have good long-side forecasting ability, among which the volume of net call warrants has the best forecasting ability; the buying call warrants volume, the selling call warrants trading volume, and the total call warrants trading volume all have good short-side forecasting capabilities. The forecasting ability of the total trading volume of warrants is the strongest.
After establishing that the warrants are predictive and directional against the underlying stock price, this research uses the trading volume of the warrants to establish a long-side strategy and a short-side strategy, and obtains the following two results. First, the information contained in the warrant is short- and medium-term information, and the warrant is used as the short-term information. The strategy of chip analysis is only suitable for short-term and medium-term trading. Second, this long-side strategy has a size effect, and the smaller the market value, the better the effect.
According to the results of this research, the warrant trading volume does contain a certain amount of information and can be used as a bargaining chip analysis of the underlying stock. After further testing, it is found that the bargaining data creation strategy of matching the trading volume of the warrant with the underlying stock will bring the higher profits. | en_US |